Book Image

Forecasting Time Series Data with Prophet - Second Edition

By : Greg Rafferty
5 (1)
Book Image

Forecasting Time Series Data with Prophet - Second Edition

5 (1)
By: Greg Rafferty

Overview of this book

Forecasting Time Series Data with Prophet will help you to implement Prophet's cutting-edge forecasting techniques to model future data with high accuracy using only a few lines of code. This second edition has been fully revised with every update to the Prophet package since the first edition was published two years ago. An entirely new chapter is also included, diving into the mathematical equations behind Prophet's models. Additionally, the book contains new sections on forecasting during shocks such as COVID, creating custom trend modes from scratch, and a discussion of recent developments in the open-source forecasting community. You'll cover advanced features such as visualizing forecasts, adding holidays and trend changepoints, and handling outliers. You'll use the Fourier series to model seasonality, learn how to choose between an additive and multiplicative model, and understand when to modify each model parameter. Later, you'll see how to optimize more complicated models with hyperparameter tuning and by adding additional regressors to the model. Finally, you'll learn how to run diagnostics to evaluate the performance of your models in production. By the end of this book, you'll be able to take a raw time series dataset and build advanced and accurate forecasting models with concise, understandable, and repeatable code.
Table of Contents (20 chapters)
1
Part 1: Getting Started with Prophet
5
Part 2: Seasonality, Tuning, and Advanced Features
14
Part 3: Diagnostics and Evaluation

Modeling uncertainty in seasonality

MAP estimation is very fast, which is why it is Prophet’s default mode, but it will not work with seasonalities, so a different method is needed. To model seasonality uncertainty, Prophet needs to use an MCMC method. A Markov chain is a model that describes a sequence of events, with the probability of each event depending upon the state in the previous event. Prophet models seasonal uncertainty with this chained sequence and uses the Monte Carlo method, which was described at the beginning of the previous section, to repeat the sequence many times.

The downside is that MCMC sampling is slow; on a macOS or Linux machine, you should expect fitting times of several minutes instead of several seconds. On a Windows machine, unfortunately, the PyStan API, which interfaces with Prophet’s model in the Stan language, has upstream issues, meaning MCMC sampling is extremely slow. Depending upon the number of data points, fitting a model on...